𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Exact filtering for partially observed continuous time models

✍ Scribed by Paul Fearnhead; Loukia Meligkotsidou


Book ID
111038859
Publisher
Blackwell Publishing
Year
2004
Tongue
English
Weight
284 KB
Volume
66
Category
Article
ISSN
0952-8385

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Exact filters for Newton–Raphson paramet
✍ C.D. Charalambous; J.L. Hibey πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 156 KB

This paper presents explicit ΓΏnite-dimensional ΓΏlters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and partially observed. The implementation of the NR algorithm requires evaluation of th

Numerical strategies for filtering parti
✍ John Harlim πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 948 KB

In this paper, we present a fast numerical strategy for filtering stochastic differential equations with multiscale features. This method is designed such that it does not violate the practical linear observability condition and, more importantly, it does not require the computationally expensive cr